Options on One-Day Interbank Deposit Futures

The underlying contract of the option is the DI Futures Contract maturing after the option expiration date, which can be in up to 3 months (D11), 6 months (D12), 12 months (D13) or variable according to the most liquid maturities (D14, D15, D16, D17, D18 and D19).

Therefore, the option refers to the average DI rate between the option expiration date and the maturity of the DI Futures Contract.

Each option is equivalent to the exposure to a DI Futures Contract, with the strike price defined as interest rate. Because these are European options, the exercise only occurs at the maturity of the contract if the option expires in the money.

- Type 1, 2 and 3 options: the first month in any quarter with a DI Futures Contract authorized for trading at B3;

- Type 4, 5, 6, 7, 8 and 9 options: all months.

Settlement on expiration

Physical settlement (with opening position in the DI Futures contract).

Option exercise

On the expiration date, the option exercise is performed manually by the option holder respecting the trading hours pre-established by B3. If the option is not exercised it will be closed out by its writer.